I am currently reading a bit about testing day of the weeks effects. I saw two different model specifications and wonder how to interpret the results.
The first model type includes only 4 dummies for e.g., Mo till Thu, and an intercept:
The second model type includes 5 dummies for all weekdays and no intercept.
I have two questions:
Could you explain the difference in the interpretation of the p-values for the models (what does it mean when one of the dummies in model 1 is significant, what does it mean in model 2)? In my opinion the model 2 suffers from multicollinearity, because the dummies are linear dependent, is this correct?
Thanks for your help!